最优IPO机制设计:理论和中国实践  

Optimal IPOMechanism Design:Theory and Practice in China

作　　者：宫汝凯[1] 姚东旻[2] 

机构地区：[1]上海财经大学经济学院 [2]中国人民大学经济学院

出　　处：《南方经济》2012年第12期3-17,共15页South China Journal of Economics

基　　金：上海财经大学研究生科研创新基金项目(CXJJ-2011-341)的资助

摘　　要：本文以中国独特的新股发行机制为分析背景,从机制设计的角度研究最优IPO机制设计的问题。在对中国现行的IPO定价过程进行描述以及与成熟市场施行的累计投标询价制度进行比较分析的基础上,总结出中国式IPO定价机制的典型特征;将最优拍卖设计的分析方法引入IPO机制中,对中国式IPO过程进行建模,研究附加各种制度约束的最优IPO机制设计的问题。进一步考虑机构投资者不同的风险态度对最优IPO机制设计的影响,进而得到不同情形下最优IPO机制的设计方案,以期为中国正在推进的新股发行机制改革提供理论基础和决策借鉴。In this paper, we adopt the framework of mechanism design to discuss the optimal IPO mechanism design problem under the current institutional environment of IPO in China. Comparing with the classic American Book - Building System, China＇ s current IPO inquiry has the following typical characteristics and institutional constraints： adding a preliminary inquiry into the formal inquiry stage; Distinction between offline and online placement and strictly limiting the percentage of offline placement; not granting underwriters the right to allocation of new shares subscribed, and the ＂auction - like＂ features. Considering the unique characteristics above, we put forward one mechanism of China＇ s IPO process in order to maximize the issuer＇ s expected utility, which will be proved to be the optimality in the cases of the additional restrictions in the system and different risk attitudes of institutional investors.

关 键 词：最优拍卖设计 IPO询价制度 制度约束 

分 类 号：F830.91[经济管理—金融学]